银行间债券市场收益率曲线税收效应实证研究 - 金融工程

9 203 No19 Vol12032008 9 JOURNAL OF BUSINESS ECONOMICS Sep1 2008,(,361005) : ,,,Svensson : ;;:F830191 : A :1000 - 2154 (2008) 09 - 0036 - 05 20 90 ,,,Vasicek [1 ] ;Nelson - Siegel [2 ] ;HJM Vasicek CIR [3 ] ;McCulloch , [4 ] ,,:,,;,,,;,,;,,, ,,,,,,,:2008 - 03 - 28:2004 :(1975 - ) ,,,,;(1966 - ) ,,,,,,

379 ,: ,,,,,,,,, ,,,33 % ; ([1993 ]83 ) ,, 2001 ,8 %1 ,5 %,,,18 % ,515 %,,,Schaefer [5 ] ,Ronn [6 ] ,Dermody Rockafellar [7 ] Jordan [8 ] ,Litzenberger Rolfo [9 ] ,Kamara [10 ] ,(notes) (bills) ,,: , ,,,,,() Svensson [11 ] Svensson ,:R (0 , ) = 0 +1 - exp ( - ) 11+ 11 - exp ( - ) 12- exp ( - 1 - exp ( - ) 2)+ 3 - exp( - ) (1)1 21 2,D ( t , t + ) = exp ( - R ( t , ) ) 1 , 2 , 0 , 1 , 2 3 ,, P 3 iP 3 i= CF i t D ( t , t +;) (2)ii , CF i t i t , D ( t , t +;) t , ()

38 2008 ,:, P i P i = CF i t D ( t , t +;) + i (3)t,() () , :nmin 2 i ( P 3 i - P i ) 2 (4)i = 1n , i ,, i ,Bolder Streliski , [12 ] : i =1/ Dur Mi(5) 1/ Dur Mi, Vasicek Fong , [13 ] ,() ,2006 12 12 - 2007 5 11 ,Svensson ,,,,(,C , H ,, G , q , M ) :1. (q > 100)q - 100 ,(q - 100) (,) ,:( q - 100): C - ( C - H) + ;M( q - 100)M - 1 : C(1 - ) + ;M( q - 100): C(1 - ) + 100 +M2. (q < 100):C -(C - H)M - 1 :C(1 - ):C(1 - ) + 100 - G (100 - q),:1. : R 2 = 1 -n ( P i - P 3 i ) 2i = 1 n - kn ( P i - P) 2 ,P , n i = 1 n - 1, k ,,,2. : RMSRE =1n n( P i - P 3 ii = 1P i) 2 100 % ,

399 ,: 3. : RMS E =() 1n n( P i - P 3 i ) 2 ,i = 1,= 0 , G = 0Svensson 1 ,,Svensson 21 Svensson 1 2 ,Svensson 019243 010055 015609 010697 010022 012242 019982 010125 112818 016379 411916e - 004 010412, [9 ] 1 2 2 Svensson ,019586 010035 013565,,010602 010023 012324 019998 010116 110838,, 017133 913265e - 011 013483e - 009(time to maturity) ,,(3) [14 ] ,(age) ,, [10 ,15 ] 33 R 2- 0. 0166( - 2. 46)- 0. 1335( - 23. 17)0. 0478(14. 19)0. 0407(6. 88)0. 2657(12. 31)0. 1961- 0. 0410( - 7. 85)- 0. 0134( - 3. 26)0. 0048(2. 26)0. 0040(2. 09)0. 0774(5. 46)0. 01383 ,(time to maturity) (1) t - ,, ,,,,R 2 7 ,,,;,

40 2008 ,7 ,,, , ,Svensson ,,:[1 ]. Vasicek [J ]. :,2003 ,42 (005) :773 - 778.[2 ],. [J ]. , 2003 (10) :63 - 73.[3 ], . Vasicek CIR [J ]. , 2002 (10) :22 - 25.[4 ],. [J ]. , 2003 (3) : 33 - 36.[5 ] Schaefer S M. Measuring a Tax - specific Term Structure of Interest Rates in the Market for British Government Securities [J ]. TheEconomic Journal , 1981 ,91 (362) :415 - 438.[6 ]Ronn E I. A New Linear Programming Approach to Bond Portfolio Management [J ]. The Journal of Financial and Quantitative Analysis ,1987 , 22 (4) : 439 - 466.[ 7 ]Dermody J C , Rockafellar R T. Cash Stream Valuation in the Face of Transaction Costs and Taxes[J ]. Mathematical Finance , 1991 ,1 (1) :31 - 54.[8 ]Jordan J V. Tax Effects in Term Structure Estimation[J ]. The Journal of Finance , 1984 ,39 (2) : 393 - 406.[9 ]LiTzenberger R H , Rolfo J . An International Study of Tax Effects on Government Bonds[J ]. The Journal of Finance , 1984 , 39 (1) : 1 -22.[10 ] Kamara A. Liquidity , Taxes , and Short - term Treasury Yields[J ]. The Journal of Financial and Quantitative Analysis , 1994 , 29 (3) :403 - 417.[ 11 ]Svensson Leo. Estimating Forward Interest Rates : With the Extended Nelson and Siegel Method[J ]. Sveriges Riskbank Quarterly Review ,1995 (3) :13 - 26.[12 ]Bolder D. Affine Term - structure Models : Theory and Implementation[ R/ OL ]. (2001 : Bank of Canada) (2008 - 01 - 14) [2008 - 02 -18 ]. http :ΠΠpapers. ssrn. comΠsol3Πpapers. cfm ? abstract2id = 1082826.[13 ]Vasicek O A , Fong H G. Term Structure Modeling Using Exponential Splines[J ]. The Journal of Finance , 1982 , 37 (2) : 339 - 348.[14 ] Green R C , Odegaard B A. Are There Tax Effects in the Relative Pricing of US Government Bonds ? [J ]. The Journal of Finance , 1997 ,52 (2) : 609 - 633.[15 ]Warga A. Bond Returns , Liquidity , and Missing Data[J ]. The Journal of Financial and Quantitative Analysis , 1992 ,27 (4) : 605 - 617.Empirical Study of Tax - Effect in the Interbank Bond MarketLIU Xiao - shu , ZHENG Zhen - long( Department of Finance , Xiamen University , Xiamen 361005 , China)Abstract : In this paper the authors construct an interest rate term structure using the risk - free bond in the interbank bond market. Dueto different investors having different tax rate , whether there is tax effect in the bond market is an important issue. Through an empirical study ,the authors find that there indeed exists tax - effect in the interbank bond market. That is , the Svensson model considering tax - effect hasmore power in the good - of - fitting.Key words : interest rate term structure ; tax effect ; implicit tax rate( )